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Counterparty credit risk management in industrial corporates
Langkamp, Christian - Volkswirtschaftliche Fakultät, … - 2011
Ever since the financial crisis of the banking system of 2008 - 2010 the paradigm that deposits or other exposures towards major banks are safe has been fundamentally questioned. This put industrial corporates, who to support their business usually need to manage significant cash holdings or...
Persistent link: https://www.econbiz.de/10009353547
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Predictive Performance of Conditional Extreme Value Theory and Conventional Methods in Value at Risk Estimation
Ghorbel, Ahmed; Trabelsi, Abdelwahed - Volkswirtschaftliche Fakultät, … - 2007
(EVT): The Peaks over Threshold (POT) and the Block Maxima (BM). Both estimation techniques are based on limits results for …
Persistent link: https://www.econbiz.de/10005836231
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Asset Market Liquidity Risk Management: A Generalized Theoretical Modeling Approach for Trading and Fund Management Portfolios
Al Janabi, Mazin A. M. - Volkswirtschaftliche Fakultät, … - 2009
Asset market liquidity risk is a significant and perplexing subject and though the term market liquidity risk is used quite chronically in academic literature it lacks an unambiguous definition, let alone understanding of the proposed risk measures. To this end, this paper presents a review of...
Persistent link: https://www.econbiz.de/10008557078
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The reality about aid and governance: the threshold theory
Jaouadi, Saïd - Volkswirtschaftliche Fakultät, … - 2011
subsahara and the MENA region during the period 1990-2004 by using the “threshold theory”. Stephen Knack proved that foreign aid … to test the existence of a threshold and to determine its value. This methodology allowed us to find interesting results …
Persistent link: https://www.econbiz.de/10009294691
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Jumpy or Kinky? Regression Discontinuity without the Discontinuity
Dong, Yingying - Volkswirtschaftliche Fakultät, … - 2010
with a corresponding discrete change in the probability of treatment at a known threshold of a running variable. This paper …
Persistent link: https://www.econbiz.de/10008678286
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Jumpy or Kinky? Regression Discontinuity without the Discontinuity
Dong, Yingying - Volkswirtschaftliche Fakultät, … - 2010
outcome with a corresponding discrete change in the probability of treatment at a known threshold of a running variable. This …
Persistent link: https://www.econbiz.de/10008681029
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Bayesian Analysis of a Triple-Threshold GARCH Model with Application in Chinese Stock Market
Zhu, Junjun; Xie, Shiyu - Volkswirtschaftliche Fakultät, … - 2010
We construct one triple-threshold GARCH model to analyze the asymmetric response of mean and conditional volatility. In …
Persistent link: https://www.econbiz.de/10011107623
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Early Warning System in ASEAN Countries Using Capital Market Index Return: Modified Markov Regime Switching Model
Wahyudi, Imam; Luxianto, Rizky; Iwani, Niken; Sulung, … - Volkswirtschaftliche Fakultät, … - 2008
Asia’s financial crisis in July 1997 affects currency, capital market, and real market throughout Asian countries. Countries in southeast region (ASEAN), including Indonesia, Malaysia, Philippines, Singapore, and Thailand, are some of the countries where the crisis hit the most. In these...
Persistent link: https://www.econbiz.de/10011111492
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Effects of Threshold Uncertainty on Common-Pool Resources
Mandelbaum, Adler; E, Sara - Volkswirtschaftliche Fakultät, … - 2014
games designed to model common-pools in which there existed such a threshold: one with complete information of the threshold …, one with incomplete information of the threshold and one with sporadically enforced targets. By design the true threshold … was unknown to the players in the role of policymaker, and the guesses of the threshold value were allowed to change …
Persistent link: https://www.econbiz.de/10011203021